86 citations · 301 across the 37 of their papers we have counts for
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q-fin.TR2013
A Monte Carlo method for optimal portfolio executions
Nico Achtsis, Dirk Nuyens
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost bec…
math.NA2013★ 86 cited
Higher order QMC Galerkin discretization for parametric operator equations
Josef Dick, Frances Y. Kuo, Quoc T. Le Gia +2
We construct quasi-Monte Carlo methods to approximate the expected values of linear functionals of Galerkin discretizations of parametric operator equations which depend on a possi…
math.NA2013★ 34 cited
The construction of good lattice rules and polynomial lattice rules
Dirk Nuyens
A comprehensive overview of lattice rules and polynomial lattice rules is given for function spaces based on semi-norms. Good lattice rules and polynomial lattice rules ar…